Hi Giobria
The smoothed medians are calculated from the daily closing prices using
the Westpac trading site as the source, usually very close to all trading sites combined.
(Rarely different by more than 1 cent as far as I can see - so not material ?).
I wait for the Closing Auction results before downloading closing prices per Westpac.
As for the smoothing it is a special combination of herbs and spices taught to me
by a former BHP employee as his statistical secret weapon in his financial forecasting.
To be a little clearer it requires a minimum of thirteen daily (or weekly, or monthly) values.
It has a predictive feature built into the final six points, taking all six into consideration,
with least weight to the oldest of the 6 data points and most weight to the final one.
The smoothing bears a close similarity to the Bollinger central median, which intersects
the highest and closing values for each period. Bollinger medians range from
1 minute, to 2, 5, 10, 15, 60 minutes, daily, weekly etc.
I am planning to convert my daily charts to weekly in a rare future leisure moment or two !!
(One of my loyal followers "OC" is so enamoured with my medians that he might like
to see them extended back over the past five years. Miracles take a bit of time !!)
Perhaps monthly for the past five years would be enough to please him !!!
The main value of the smoothed medians for me is :-
1. By occupying the middle ground between low and high closing prices they portray
for me the underlying truth of price behaviour
with volatility removed.2. The slow response of the smoothed median to the most recent 6 data points
(remembering that they currently weight the emerging strength of 6 periods)
mean that they are both slow (needing several days to confirm trend changes)
but meaningful when the future emerging prices confirm new changes of direction.
3. A cautionary note ... shorter term charts (I use Iress) are needed for trading
especially when engaged in the fool's errand of trying to capture lows for
buying or highs for selling.
In summary I trust the medians as a useful tool to confirm direction changes
being very similar to the central median in daily Bollinger Band charts.
I will let you know when my TA initial public offering is due for listing on the ASX
sometime in the next decade or two
Kind Regards, Recherche
(20min delay)